Box Files These are large boxes that will take a piece of standard paper without having to fold it. They can be separately labeled and you can keep one filing category in each box. Easily stored on a shelf. If your shelf is big enough.
Variations on box files are cut away half boxes and of course the old shoe box.
Concertina files These are indexed files and are good for holding receipts and paid invoices, bills. You can get large ones that would hold all the categories of your home office.
Folders These are cardboard folders, or transparent plastic ones. I always use these for papers that I need to carry around anywhere, as they are light and easy to handle.
Filing Cabinets By far the best storage device for documentation. They were made for the job. Nowadays they come in all sorts of fancy colors so they blend into your decoration. A two drawer version is just enough. If you have two together they make a wonderful base for a desk with a piece of worktop across the top of them.
Card index files These are useful for addresses or indexed information.